COVID-19 and uncertainty spillovers in Indian stock market
In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters. • COV...
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| Format: | Article |
| Language: | English |
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Elsevier
2021-01-01
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| Series: | MethodsX |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2215016120304192 |
| _version_ | 1819099992712806400 |
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| author | Biplab Kumar Guru Amarendra Das |
| author_facet | Biplab Kumar Guru Amarendra Das |
| author_sort | Biplab Kumar Guru |
| collection | DOAJ |
| description | In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters. • COVID-19 has magnified the volatility spillovers in the stock market. • Socks to energy sector significantly spills over to other sectors. • FMCG remains the largest net recipient of the volatility spillovers from other sectors. |
| first_indexed | 2024-12-22T00:55:42Z |
| format | Article |
| id | doaj.art-a2c1561704d542109ad329bd330303bc |
| institution | Directory Open Access Journal |
| issn | 2215-0161 |
| language | English |
| last_indexed | 2024-12-22T00:55:42Z |
| publishDate | 2021-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | MethodsX |
| spelling | doaj.art-a2c1561704d542109ad329bd330303bc2022-12-21T18:44:20ZengElsevierMethodsX2215-01612021-01-018101199COVID-19 and uncertainty spillovers in Indian stock marketBiplab Kumar Guru0Amarendra Das1Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, West Bengal, 721302, India; Corresponding author.Reader F, School of Humanities and Social Sciences, National Institute of Science Education and Research, Bhubaneswar-752050, India; Homi Bhabha National Institute, Anushakti Nagar, Mumbai, IndiaIn this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters. • COVID-19 has magnified the volatility spillovers in the stock market. • Socks to energy sector significantly spills over to other sectors. • FMCG remains the largest net recipient of the volatility spillovers from other sectors.http://www.sciencedirect.com/science/article/pii/S2215016120304192BSE IndiaVolatility spilloversDiebold-YilmazCOVID-19 |
| spellingShingle | Biplab Kumar Guru Amarendra Das COVID-19 and uncertainty spillovers in Indian stock market MethodsX BSE India Volatility spillovers Diebold-Yilmaz COVID-19 |
| title | COVID-19 and uncertainty spillovers in Indian stock market |
| title_full | COVID-19 and uncertainty spillovers in Indian stock market |
| title_fullStr | COVID-19 and uncertainty spillovers in Indian stock market |
| title_full_unstemmed | COVID-19 and uncertainty spillovers in Indian stock market |
| title_short | COVID-19 and uncertainty spillovers in Indian stock market |
| title_sort | covid 19 and uncertainty spillovers in indian stock market |
| topic | BSE India Volatility spillovers Diebold-Yilmaz COVID-19 |
| url | http://www.sciencedirect.com/science/article/pii/S2215016120304192 |
| work_keys_str_mv | AT biplabkumarguru covid19anduncertaintyspilloversinindianstockmarket AT amarendradas covid19anduncertaintyspilloversinindianstockmarket |